Finite Sample Properties of the Efficient Method of Moments †

@inproceedings{Chumacero1997FiniteSP,
  title={Finite Sample Properties of the Efficient Method of Moments †},
  author={R{\'o}mulo A. Chumacero},
  year={1997}
}
  • Rómulo A. Chumacero
  • Published 1997
Gallant and Tauchen (1996) describe an estimation technique, known as Efficient Method of Moments (EMM), that uses numerical methods to estimate parameters of a structural model by using as matching conditions (moments in the GMM jargon) the gradients of an auxiliary model that fits a subset of variables that may be simulated from the structural model. This paper presents three Monte Carlo experiments to asses the finite sample properties of EMM. The first one compares it with a fully efficient… CONTINUE READING